Philosophy begins with which Milesian philosopher?

That's a good question, but this is like asking "Philosophy begins with which Hellenistic Philosophy?" or "Philosophy begins with which Medieval Scholasticism?" or "Which philosopher began British Philosophy?" because the answer is that there is no first philosopher that began any peculiar kind of philosophy that characterized an era, culture, nation, etc. However one of the earliest known philosopher of the pre-socratic times is the Milesian philosopher Thales (Aristotle considered him to be the first philosopher of the pre-socratics, but we don't know this for sure).